good point. I think your right that may just be the relay to tell the fogs when to turn on/off vs high/low beam etc. I bet if the OP pulls out the little compartment to the left of the steering wheel there may be a fog light fuse labeled on there

Yes there is. I checked it when I was working on my fog lights. I do not remember the position. It is in the back chapters of the owners manual. It will tell you. It is in the engine compartment fuse box.